Год выпуска: 2012 Автор: Shadee Sircar Издательство: LAP Lambert Academic Publishing Страниц: 108 ISBN: 9783659122941
Описание
Stock market performance and macroeconomic variables are two very important set of indicators regarding a country’s economy. Thus, finding and understanding the relationships present between these indicators may prove to be quite vital. Unfortunately most literature available on this subject matter is based on developed countries and these cases may not apply to developing countries. In order to shed light on the matter this paper investigates the causal relationships between the stock market index of developing countries and their macroeconomic variables based on the VECM framework. The countries Malaysia and Singapore are chosen for the purpose of this paper, where FTSE KLCI index and the FTSE STI index are used to represent the stock market performances respectively for each country. The four macroeconomic variables analyzed are Consumer Price Index (CPI), Industrial Production Index (IPI), 3 month T-bill rate (IR) and exchange rate against the US Dollar (ER). The findings and...
